Stochastic-fractional optimal control problems and application in portfolio management
Publish Year: 1403
Type: Journal paper
Language: English
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Document National Code:
JR_JMMF-4-2_007
Index date: 26 January 2025
Stochastic-fractional optimal control problems and application in portfolio management abstract
The aim of this paper is to propose a new method for solving a calss of stochasticfractional optimal control problems. To this end, we introduce an equivalent form for the presented stochastic-fractional optimal control problem and prove that these problems have the same solution. Therefore, the corresponding Hamilton– Jacobi–Bellman (HJB) equation to the equivalent stochastic-fractional optimal control problem is presented and then the Hamiltonian of the system is obtained. Finally, by considering Sharpe ratio as a performance index, Merton’s portfolio selection problem is solved by the presented stochastic-fractional optimal control method. Moreover, for indicating the advantages of the proposed method, optimal pairs trading problem is simulated.
Stochastic-fractional optimal control problems and application in portfolio management Keywords:
Stochastic-fractional optimal control problems and application in portfolio management authors
Saba Yaghobipour
Department of Mathematics and Computer Science, Lorestan University, Lorestan, Iran.
Majid Yarahmadi
Department of Mathematics and Computer Science, Lorestan University, Lorestan ۶۸۱۵۱-۴۴۳۱۶, Iran.
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